WO2006108062A2 - Methode et systeme de calcul de la valeur intrajournaliere indicative de fonds cotes en bourse haussiers et baissiers a effet de levier - Google Patents

Methode et systeme de calcul de la valeur intrajournaliere indicative de fonds cotes en bourse haussiers et baissiers a effet de levier Download PDF

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Publication number
WO2006108062A2
WO2006108062A2 PCT/US2006/012717 US2006012717W WO2006108062A2 WO 2006108062 A2 WO2006108062 A2 WO 2006108062A2 US 2006012717 W US2006012717 W US 2006012717W WO 2006108062 A2 WO2006108062 A2 WO 2006108062A2
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Prior art keywords
etf
value
intraday
derivative product
gain
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PCT/US2006/012717
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English (en)
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WO2006108062A3 (fr
Inventor
William E. Seale
Taeyong Lee
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Profund Advisors, Llc
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Publication date
Application filed by Profund Advisors, Llc filed Critical Profund Advisors, Llc
Priority to EP06749368A priority Critical patent/EP1877974A4/fr
Priority to JP2008505498A priority patent/JP5389437B2/ja
Priority to CA2604181A priority patent/CA2604181C/fr
Publication of WO2006108062A2 publication Critical patent/WO2006108062A2/fr
Priority to IL186416A priority patent/IL186416A0/en
Publication of WO2006108062A3 publication Critical patent/WO2006108062A3/fr

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    • G—PHYSICS
    • G06—COMPUTING; CALCULATING OR COUNTING
    • G06Q—INFORMATION AND COMMUNICATION TECHNOLOGY [ICT] SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL OR SUPERVISORY PURPOSES; SYSTEMS OR METHODS SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL OR SUPERVISORY PURPOSES, NOT OTHERWISE PROVIDED FOR
    • G06Q40/00—Finance; Insurance; Tax strategies; Processing of corporate or income taxes
    • G06Q40/04—Trading; Exchange, e.g. stocks, commodities, derivatives or currency exchange
    • G—PHYSICS
    • G06—COMPUTING; CALCULATING OR COUNTING
    • G06Q—INFORMATION AND COMMUNICATION TECHNOLOGY [ICT] SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL OR SUPERVISORY PURPOSES; SYSTEMS OR METHODS SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL OR SUPERVISORY PURPOSES, NOT OTHERWISE PROVIDED FOR
    • G06Q30/00—Commerce
    • G06Q30/02—Marketing; Price estimation or determination; Fundraising
    • G—PHYSICS
    • G06—COMPUTING; CALCULATING OR COUNTING
    • G06Q—INFORMATION AND COMMUNICATION TECHNOLOGY [ICT] SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL OR SUPERVISORY PURPOSES; SYSTEMS OR METHODS SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL OR SUPERVISORY PURPOSES, NOT OTHERWISE PROVIDED FOR
    • G06Q30/00—Commerce
    • G06Q30/02—Marketing; Price estimation or determination; Fundraising
    • G06Q30/0201—Market modelling; Market analysis; Collecting market data
    • G—PHYSICS
    • G06—COMPUTING; CALCULATING OR COUNTING
    • G06Q—INFORMATION AND COMMUNICATION TECHNOLOGY [ICT] SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL OR SUPERVISORY PURPOSES; SYSTEMS OR METHODS SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL OR SUPERVISORY PURPOSES, NOT OTHERWISE PROVIDED FOR
    • G06Q40/00—Finance; Insurance; Tax strategies; Processing of corporate or income taxes

Definitions

  • the present invention relates generally to the field of exchange traded funds.
  • it relates to a method and system for calculating an intraday indicative value for leveraged bullish and/or bearish exchange traded funds ("ETF").
  • ETF bullish and/or bearish exchange traded funds
  • the present invention relates to a computer implemented method of calculating and using an intraday value of a Bullish ETF for arbitrage purposes, comprising the steps of: calculating, or having calculated, an intraday current value of all the equity securities in the ETF; calculating, or having calculated, mark to market gains or losses of at least one derivative product; retrieving, or having retrieved, an accumulated loss or gain of the at least one derivative product; retrieving other cash equivalent amounts; determining, or having determined, the intraday value of the ETF by combining the calculated intraday current value of all the equity securities, the accumulated loss or gain and the mark to market gains or losses of the at least one derivative product; and other cash equivalent amounts; and using the determined intraday value of the ETF 5 by a party, for arbitrage purposes.
  • the derivative product comprises one or more of a swap contract, a forward contract, a futures contract, an options contract or the like.
  • the step of determining the intraday value is performed in near real time.
  • the method further comprises: comparing, by the party, of the determined intraday value of the ETF to a traded value of the ETF; and performing, by the party, an arbitrage transaction if the difference between the determined intraday value of the ETF differs from the traded value of the ETF by a threshold value.
  • the method further comprises calculating a balancing amount for purposes of fund share creation or redemption that is composed largely of the gain or loss of at least one derivative product.
  • the present invention provides a computer implemented method of using an intraday value of a Bearish ETF for arbitrage purposes, comprising the steps of: calculating, or having calculated, mark to market gains or losses of at least one derivative product; retrieving, or having retrieved, an accumulated loss or gain of the at least one derivative product; retrieving, or having retrieved, other cash equivalent amounts; determining, or having determined, the intraday value of the ETF by combining the accumulated loss or gain, the mark to market gains or losses of the at least one derivative product; and other cash equivalent amounts; and using the determined intraday value of the ETF, by a party, for arbitrage purposes.
  • the above mentioned method further comprises receiving an HV File (as defined herein) comprising values for: value of all the equity securities in the ETF (only applicable for Bullish ETFs); notional value of at least one derivative product; an accumulated loss or gain of the at least one derivative product; and other cash equivalent amounts.
  • the received HV File is used to determine an intraday value of the ETF by combining the calculated intraday current value of all the equity securities (only applicable for Bullish ETFs), the accumulated loss or gain, the mark to market gains or losses of the at least one derivative product; and other cash equivalent amounts, and the determined intraday value of the ETF is used for arbitrage purposes.
  • the present invention provides a computer implemented method of providing an IIV File for a Bullish or Bearish ETF 5 comprising: (1) periodically creating an IIV File comprising values for: value of all the equity securities in the ETF (only applicable to Bullish ETFs); notional value of at least one derivative product; an accumulated loss or gain of at least one derivative product; and other cash equivalent amounts; and (2) periodically sending the created IIV File to other parties.
  • Certain embodiments provide a a computer readable medium having program code recorded thereon for calculating and using an intraday indicative value of a bullish exchange traded fund ("ETF") for arbitrage purposes when executed on a computing system, the program code including: code for calculating an intraday current value of all the equity securities in the ETF; code for calculating mark to market gains or losses of at least one derivative product; code for retrieving an accumulated loss or gain of at least one derivative product; code for determining the intraday indicative value of the ETF by combining the calculated intraday current value of all the equity securities, the accumulated loss or gain and the mark to market gains of the at least one derivative product; and code for using the determined intraday value of the ETF 5 by a party, for arbitrage purposes.
  • ETF bullish exchange traded fund
  • Certain other embodiments provide a computer readable medium having program code recorded thereon for calculating and using an intraday indicative value of a bearish exchange traded fund ("ETF") for arbitrage purposes when executed on a computing system, the program code including code for calculating mark to market gains or losses of at least one derivative product; code for retrieving an accumulated loss or gain of at least one derivative product; code for determining the intraday indicative value of the ETF by combining the accumulated loss or gain and the mark to market gains of the at least one derivative product; and code for using the determined intraday value of the ETF, by a party, for arbitrage purposes.
  • ETF bearish exchange traded fund
  • Certain embodiments provide a system for calculating and using an intraday indicative value of a bullish exchange traded fund ("ETF") for arbitrage purposes, including: a communication unit configured to receive an HV file comprising a value of all equity securities in the ETF, the notional value of at least one derivative product, an accumulated gain or loss of the at least one derivative product, and other cash equivalent amounts; and a computing unit configured to calculate an intraday current value of all the equity securities in the ETF, calculate mark to market gains or losses of at least one derivative product, and determine the intraday indicative value of the ETF by combining the intraday current value of all the equity securities, the accumulated loss or gain and the mark to market gains of the at least one derivative product; and the computing unit configured to compare the intraday indicative value of the ETF to a market value of the ETF on a per share basis to make a determination for arbitrage purposes.
  • ETF bullish exchange traded fund
  • Certain other embodiments provide a system for calculating and using an intraday indicative value ("HV) of a bearish exchange traded fund (“ETF”) for arbitrage purposes, including: a communication unit configured to receive an HV file comprising a notional value of at least one derivative product, an accumulated loss or gain of the least one derivative product, and other cash equivalent amounts; a computing unit configured to calculate mark to marked gains or losses of the at least one derivative product, retrieve an accumulated loss or gain of the at least one derivative product, and determine the HV of the ETF by combining the accumulated loss or gain and the mark to marked gains of the at least one derivative product and the other cash equivalent amount, and said computing unit configured to compare the II V of the ETF to a market value of the ETF on a per share basis to make a determination for arbitrage purposes.
  • HV intraday indicative value
  • ETF bearish exchange traded fund
  • Figures 1 and 2 show formats of an exemplary HV File.
  • Figure 3 A is a flow diagram illustrating the general steps of an HV calculation.
  • Figure 3B is a diagram that illustrates the steps of calculating an HV with exemplary data.
  • Figures 4 and 5 are diagrams that illustrate exemplary process flows of creating and redeeming Bullish and Bearish ETFs.
  • Figure 6 provides exemplary calculations of the balancing amount for a Bullish ETF.
  • Figure 7 illustrates the components of a generic computing system connected to a general purpose electronic network.
  • the present invention relates to Bullish and Bearish ETFs and systems and method for calculating and transmitting values of the bullish and bearish ETFs that may be used for arbitrage purposes so that efficient markets for these ETFs are facilitated.
  • Examples of such Bullish and Bearish ETFs may be based on various well- known indexes as listed below. It should be noted that the indexes and the percentages listed below are exemplary only and the principles of the present invention would apply to other indexes and percentages as would be recognized by one skilled in the art.
  • the investment objective for a Bullish or Bearish ETF is to track a percentage of the performance of the index, with the percentage being any multiple greater than, equal to or less than 100% of the performance of the underlying index. The following are some examples:
  • ETFs offer the mechanisms that encourage effective arbitrage activities by the institutional market participants, which are typically major brokers-dealers and investment banks.
  • Two of the important mechanisms that allow effective arbitrage activities are: near real-time Intraday Indicative Value (“HV”) calculation and Continuous Creation/Redemption.
  • HV near real-time Intraday Indicative Value
  • Continuous Creation/Redemption Each of these two mechanisms is discussed in detail in the two parts further herein.
  • ETFs Exchange Traded Funds
  • NAV net asset value
  • HV Underlying Trading Value
  • HV is calculated by valuing the sample subset of the assets held in the ETF at current prices during the market hours. This calculation methodology is similar to the basic concept employed to calculate an official closing NAV (at the end of the business day) required for both traditional mutual funds and conventional ETFs. Therefore, HV based on the 4 pm closing prices should be almost equal to the official closing NAV of the ETF.
  • IIVs also play an important role for the institutional market participants who are ready to engage in the arbitrage activities when the opportunities arise. These institutional participants include, for example, the exchange specialists, market makers, and other arbitrageurs. One of the key institutional participants are "Authorized Participants (APs)" who carry out the important functions, including market making and arbitrage activities, in the ETF market place. APs are the only entities that can create (buy) or redeem (sell) the ETF shares directly with the fund that issues the ETF. Part II, further herein, provides additional information of the role of APs with respect to creation and redemption of ETF shares directly with the fund.
  • APs Authorized Participants
  • PCF Portfolio Composition File
  • NSC National Securities Clearing Corporation
  • the PCF is. prepared to represent a single "Creation Unit" which typically consists of 50,000 shares of the ETF.
  • a Creation Unit is the minimum size that APs can create or redeem fund shares directly with the statutory trust creating the units.
  • Direct transactions with the ETF are typically only permitted in a multiple of the Creation Units through an AP.
  • Part II, further herein, provides details of direct transactions with ETFs for the creation or redemption of ETF shares (typically in Creation Units). If the price of one share is $100, the value of one Creation Unit, consisting of 50,000 shares, would be $5,000,000. Other investors who do not have large number of shares to trade and/or are not acting as APs can buy and sell the ETF shares (in lot sizes different than a creation unit) on the exchanges through their brokers.
  • the PCF may be downloaded by all entities with a link to the NSCC system (e.g. stock exchanges, APs). These entities are able to download the PCF of an ETF from NSCC, upon the receipt and processing of data by the NSCC from the particular ETF investment advisor. Based on these PCFs, APs and exchanges are able to calculate an accurate, near real-time IIV during the trading hours.
  • entities e.g. stock exchanges, APs.
  • IIV for the conventional ETFs are determined by the following steps: (i) calculating the current value of the Deposit List (list of the securities as provided in PCF) based on the last sale prices, (ii) adding the amount calculated in (i) above to the estimated cash/money market instruments (as provided in PCF) to arrive at a cumulative value, and then (iii) dividing the cumulative value by the number of shares per Creation Unit Aggregation (which is the number of shares per creation unit) in order to obtain the estimated current value on a per share basis.
  • this section discloses the IIV calculation methodology for a Bullish ETF.
  • the investment objective of a Bullish ETF may be to achieve 200% of the performance of an underlying index on a daily basis. That is, the Bullish ETF seeks to achieve a gain or loss that is 200% of the respective gain or loss of the underlying index on a daily basis.
  • the percentage (200%) and the time period (daily basis) may be varied without significantly altering the principles of the present invention.
  • the proposed Bullish ETF utilizes various financial instruments, including derivatives, in addition to equity securities in managing the portfolio exposure and to capture a movement proportional to the targeted leverage.
  • the present invention provides for a separate file, named "HV File,” to complement the PCF as a way to provide an adequate data set for HV calculation of a Bullish ETF.
  • the HV File is designed to provide detailed information about the derivatives positions in the Bullish ETF and all other information that is necessary for the accurate near real-time HV calculation.
  • Figure 1 shows an exemplary format of an HV File 100 that may be used in certain embodiments of the present invention and Figure 2 provides examples of headers and symbols (in a table 200) that may be used in the HV File.
  • Figures 1 and 2 are exemplary only and one skilled in the art would recognize various other modifications and alternatives all of which are considered as a part of the present invention.
  • the exemplary file format 100 is depicted with headers (which represent exemplary data fields) and various symbols and values representing data corresponding to each of the headers (which represent data fields).
  • Figure 2 provides examples of how the headers and symbols may be constructed in one embodiment of the computer implementation of the present invention.
  • the table 200 (in Figure 2) illustrates the type of symbols that may be used in data fields (corresponding to specific headers) and also specifies a description of the meanings of the various symbols.
  • the daily HV File may be provided via a secure website and is prepared to show all the necessary information of the entire ETF assets, as opposed to a subset of the proposed ETF assets (which is contained in a conventional PCF file), to ensure the accuracy of the HV calculation.
  • the PCF may still be prepared in terms of one Creation Unit and be made available through NSCC.
  • an HV File represents a formulaic or logical file which is implemented in a data processing system using techniques that are well known to those skilled in the art.
  • streaming or other evolving technologies may be used to transmit or access an HV File (using wireline, optical, or wireless communications) and all such technologies are considered to be a part of the present invention.
  • the exchange and APs (or other parties that need to calculate, or have calculated, a near real-time HV) require both PCF and HV Files to calculate the IPV of Bullish ETFs.
  • the relevant information from the PCF file may be included in the II V file so that one logical file contains all the information required to compute the HV of the bullish ETF.
  • the HV is determined by the following steps, (i) In step 302, calculating the estimated current value of equity securities held by the ETF by calculating the percentage change in the value of the Deposit List (that is the list of securities provided in the PCF) and applying that percentage value to the total value of the equity securities in the ETF as of the close of trading on the prior trading day (as provided in HV File), (ii) In step 304, calculating the mark-to-market gains or losses from the ETF's total return equity index swap exposure based on the percentage change of the Underlying Index and the previous day's notional values of the swap contracts, if any, held by such ETF (which previous day's notional value is provided in the HV File).
  • step 304 also calculating the mark-to-market gains or losses from futures and/or options positions by taking the difference between the current value of the futures and/or options contracts held by the ETF, if any, and the previous day's value of such positions (as provided in HV File), (iv) In step 306, adding the values from (i), (ii), and (iii) above to an estimated cash amount (which cash amount includes the swap costs) (as provided in HV File) to arrive at a value, and (v) in step 308, dividing that value by the total shares outstanding (as provided in HV File) to obtain the current HV per share.
  • steps 310-340 are also illustrated as steps 310-340 in Figure 3B which shows the application of these steps to an exemplary calculation of an HV.
  • a current value of the equities is calculated from a current value of the securities included in the PCF by accounting for the percentage change (1% in the illustrated example) in value of the deposit list of securities in the PCF, with the percentage change applied to the previous day's value of total securities in the HV File.
  • the current gains or losses from the swaps and futures are calculated to derive a mark-to-market gain or loss for the swaps and the futures.
  • step 330 the current total net assets are calculated by adding the total values of the equities, the gains or losses from the derivatives (swaps, futures, etc.) and net other assets (including cash).
  • step 340 the total net assets are divided by the total number of shares outstanding to arrive at the HV per share.
  • the investment objective of a Bearish ETF funds is to achieve, for example, (-100%) of the performance of the underlying index on a daily basis. That is, if the underlying index decreases by a certain percentage on a certain day, the objective of the Bearish ETF would be to increase by the same percentage on that day and vice versa.
  • the present invention utilizes various financial instruments, including futures and swaps, in managing the portfolio exposure.
  • various financial instruments including futures and swaps
  • a total of (-100%) portfolio exposure is achieved through various financial instruments, mostly derivative products.
  • these Bearish ETFs do not invest in equity securities, leftover cash is invested in the money market instruments, including repurchase agreements.
  • IIV File a separate file, named "IIV File,” that contain the detailed information about the derivatives positions in the fund and all the other information that are necessary for an accurate IIV calculation.
  • Structure of the IIV File for Bearish ETFs is substantially similar to the one prepared for the Bullish ETFs as shown in Figures 1-2 except that the fields and data related to the equities is missing or not used.
  • the daily HV File may be provided via a secured website and is prepared to show all the necessary information of the entire ETF assets in order to ensure the accuracy of HV calculation. As Bearish ETFs do not intend to invest in equities, there is no need for a PCF to be prepared for the Bearish ETFs.
  • the Exchanges and APs can calculate HV using the following step.: (i) Calculating, or having calculated, the mark-to-market gains or losses from the ETF 's total return equity index swap exposure based on the percentage change to the Underlying Index and the previous day's notional values of the swap contracts, if any, held by such ETF (which previous day's notional value is provided in HV File).
  • the present invention provides a unique IIV File.
  • the provided HV File supplements the standard PCF file which is the only data set used in conventional ETFs (or alternatively the IIV file contains all the information in the PCF file and contains additional information related to the derivative positions and swap contracts).
  • IIV File represents, in certain embodiments, the whole data set that enables the IIV calculation since no PCF is needed because the Bearish ETFs do not hold any equity positions.
  • Figures 4-6 discussed further herein disclose the process of using the IIV File in the creation and redemption process of the Bullish and Bearish ETFs.
  • the IIV File provides the mechanism by which these accumulated gains or losses are provided, for example, in the fields corresponding to the "net other assets" or NOA disclosed in the IIV File format shown in Figures 1 and 3B.
  • the calculation of "mark- to-market" gains or losses for derivatives, described above as part of the IIV calculation methodologies for Bullish ETFs and Bearish ETFs (for example as shown in Figure 3B) 5 provides gain/loss figures only for the period between last night's closing to current time. Therefore, the accumulated gains or losses as they exist for the derivatives in the Bullish and Bearish ETFs are not available to the party performing the calculation except by being provided by the particular IIV file as provided by certain embodiments of the present invention.
  • the information from the IIV File provided by the present invention can be used to accurately calculate the IIV for the Bullish and Bearish ETFs since the accumulated losses and gains of the derivatives are provided in the IIV File and this information is not otherwise available to a third party from any other source.
  • Figures 4 and 5 are diagrams that illustrate exemplary process flows for creating and redeeming Bullish and Bearish ETF shares with the statutory trust that issues the particular ETF shares.
  • Bullish ETFs settle through NSCC as illustrated in Figure 4 while Bearish ETFs do not use the NSCC facility as illustrated in Figure 5.
  • One skilled in the art would recognize that the particular entities described here in the creation and redemption process are exemplary only and other such entities (or combinations thereof) could perform the functions disclosed herein in the creation and redemption process for the ETFs.
  • the Bullish ETFs seek to provide daily investment results, before fees and expenses, that, for example, double (200%) the daily performance of the applicable index. That is, the percentage change of the estimated real-time value (or HV) of these ETFs is expected to be approximately twice the percentage change of the underlying index at any given moment throughout the trading hours.
  • the "percentage change" in this context is calculated by comparing the current market value to the previous day's closing value (4 pm official closing NAV for the Fund and 4 pm closing price for the index).
  • the HV of the ETF at that moment is expected to be at $102, indicating that the ETF 's value is up 2% (($102-$ 100)/$ 100), which is twice the percentage change of the index.
  • Bullish ETFs utilize various derivative products to obtain the necessary leverage and target exposure as would be recognized by those skilled in the art.
  • the value of each derivative contract is "marked-to-market" each day, following the change in the value of the underlying securities or index.
  • value of the securities in the PCF i.e., the securities held by the ETF on a Creation Unit basis
  • the PCF does not include any derivatives information.
  • the difference between the value of the Securities from PCF and the value of the shares in the Creation Unit may be much greater than in the case of conventional ETFs due to the extensive use of derivatives in the Bullish and Bearish ETFs.
  • the difference may be greater than 10% of the value of the Creation Unit and could even be 50% or higher.
  • Balancing Amount In order to resolve this discrepancy, certain embodiments of the present invention expand the concept of Balancing Amount to include the portion that makes up the leverage.
  • Balancing Amount reflects daily accruals and is generally small.
  • the present invention uses the Balancing Amount as a way to reconcile the difference caused by the extensive derivatives positions.
  • the Balancing Amount in IIV files for the Bullish ETFs includes the accumulated gains/losses from the derivatives positions. Therefore, Balancing Amount in the IIV file for Bullish ETFs is generally much greater than the balancing amount value in the IIV file for conventional ETFs.
  • Figure 4 discloses an exemplary process flow in the creation and redemption of an ETF creation unit (as defined herein, a creation unit is the minimum aggregation of lot size of ETF shares that are created or redeemed by a fund creation and redemption entity 500.
  • a creation unit is the minimum aggregation of lot size of ETF shares that are created or redeemed by a fund creation and redemption entity 500.
  • each of the blocks shown in figure 4 comprise a computing system or node while the arrows connected there between disclose network data flows between the computing nodes. The flow of information in Figure 4 is discussed first with respect to steps (4) and (5) and is then followed by a discussion of steps (1), (2), and (3).
  • each of the blocks represent a server or other computing system and the lines represent network or other data connections between the servers or computing systems. It should be recognized that each of the blocks need not be on different computing systems since two or more blocks could reside on one computing system.
  • the creation and redemption order is then forwarded, in a continuation of step (4), to a clearing house 530 to initiate the settlement process.
  • the creation and redemption transaction is completed by exchanging the ETF shares with the securities and a Balancing Amount (corresponding to the difference in value between the ETF shares and the securities).
  • a Balancing Amount corresponding to the difference in value between the ETF shares and the securities.
  • the authorized participant 500 receives ETF shares in exchange for the securities.
  • the flow is reversed from the flow discussed earlier for redemptions.
  • the Balancing Amount is used to equalize the difference between the value of the ETF shares and securities as explained further herein with respect to the examples shown in Figure 6.
  • FIG 4 also shows the flow of the PCF file and the HV File.
  • the PCF file is transmitted, as shown in step (2), by the Index Receipt Agent to the clearing house 530 on each business day after receiving the information on the securities in step (1) from the Fund Manager.
  • the PCF has been processed by the clearing house 530, it is available to all NSCC members such as the Authorized Participants 500.
  • the HV File on the other hand is created (also shown as step (3)) by the Fund Manager also on each business day, in collaboration with Fund Accountant, and is made available to the requesting parties, such as the Authorized Participants 500, so that they can, for example, perform arbitrage transactions based on the difference between the IIV of an ETF share and the market price of the ETF share as traded on an exchange.
  • Figure 6 provides exemplary calculations of the balancing amount for a Bullish ETF that returns 200% of the return of the underlying index on a daily basis.
  • the fund information from the previous closing is shown in table 725.
  • the number of shares on one Creation Unit is 50,000 while the closing NAV per share was 100. Based on these values the value of one Creation Unit is $5,000,000.
  • the value of the deposit securities in the PCF is also $5,000, 000 and, therefore, the estimated cash amount is zero.
  • Block 705 shows the calculation of the balancing amount for creation of a creation unit of the ETF shares for the situation in which the underlying index has increased by 10%.
  • the NAV per share is up by twice that amount (20%) from the previous close so that the value of 1 Creation Unit is $6,000,000.
  • the value of deposit securities is up by 10% (since it tracks the index) to $5,500,000.
  • the balancing amount has a value of $500,000 since that value balances the difference between the value of the ETF shares and the securities held by the fund (on a Creation Unit) basis.
  • the party for example, an AP
  • the party that creates Creation Unit of ETF shares, receives the ETF shares corresponding to one Creation Unit and delivers equities (worth $5,500,000) and cash (worth $500,000).
  • Block 710 discloses the calculation for the redemption process when the index is up by 10%.
  • the AP would deliver the ETF shares (corresponding to one Creation Unit) and would in return receives the securities (worth $5,500,000) and a cash balancing amount (worth $500,000).
  • Block 715 shows the calculation of the balancing amount for the creation of a creation unit of the ETF shares when the underlying index has decreased by 10%.
  • the NAV per share has declined by 20% (200 % of the decline of the underlying index) to a value of 80. Therefore, the value of the one Creation Unit is $4,000,000 while the securities held by the ETF are worth $4,500,000 (as they declined by 10% corresponding to the decline in the index).
  • the Authorized Party delivers the securities (worth $4,500,000) and receives the ETF shares corresponding to 1 Creation Unit (worth $4,000,000) and a cash or cash equivalent balancing amount of $500,000.
  • Block 720 shows the calculation of the balancing amount for the redemption of a creation unit of the ETF shares when the underlying index has decreased by 10%.
  • the Authorized Party delivers the ETF shares corresponding to one Creation Unit (worth $4,000,000) and a cash or cash equivalent balancing amount of $500,000 while receiving the securities worth $4,500,000 (corresponding to the securities held by the ETF for one Creation Unit).
  • Gains or losses from the derivatives positions are settled in cash and/or securities as part of Balancing Amount in creations/redemptions.
  • the derivative contracts such as futures and swaps can not easily be transferred "in-kind.” If such a mechanism is found to settle the derivatives "in- kind", it may be possible to handle the Balancing Amount by in-kinding the derivatives.
  • the Bearish ETF Funds seek to provide daily investment results, before fees and expenses, that match a certain percentage (e.g. 100% or 200%) of the inverse (opposite) of the daily performance of the applicable underlying index.
  • the percentage change of the estimated real-time value (or HV) of these Funds is expected to be the inverse of the percentage change of the underlying index at any moment throughout the trading hours.
  • the "percentage change" in this context is calculated by comparing the current market value to the previous day's closing value (4 pm NAV for the Fund and 4 pm closing price for the index).
  • Bearish ETFs utilize various derivative products to obtain the target exposures, and the value of each derivative contract is "marked-to-market" following the change in the value of the underlying securities or index. Consequently, the value of Bearish ETFs are determined mainly by the change in the value of those derivative contracts.
  • Bearish ETFs do not intend to carry any stocks and therefore, no securities are transferred "in-kind" between APs and the statutory trust for the creations or redemptions unless an efficient and feasible way to in-kind derivative positions is developed in the future. To resolve this issue, in certain embodiments, the present invention performs the creations/redemptions for Bearish ETFs as "All-Cash" transactions. After determining the NAV of the share, total cash amount for creations or redemptions can simply be calculated by multiplying that NAV to the number of shares being created or redeemed.
  • FIG. 5 is an operation flowchart that illustrates the process of redemption and creation of the Bearish ETF shares.
  • each of the blocks represent a server or other computing system and the lines represent network or other data connections between the servers or computing systems. It should be recognized that each of the blocks need not be on different computing systems since two or more blocks could reside on one computing system.
  • the processing steps shown in Figure 5 are very similar to the corresponding steps in Figure 4 with the exception that the creation and redemption process exchanges the ETF shares with a cash amount (a balancing amount) with no securities as shown in step (4).
  • the present invention provides a unique mechanism for the creation/redemption process for the Bullish and Bearish ETFs by efficiently dealing with the values of derivatives used to achieve the investment objectives of the Bullish and Bearish ETFs.
  • the present invention expands the Balancing Amount concept to include the "leverage make-up portion" that represents the market value of derivatives.
  • the present invention uses "All-Cash Payment" procedures to account for the value of the derivatives.
  • the creation and redemption process for units of the Bullish and Bearish ETFs employ a unique technique not used with conventional ETFs. That is, the Balancing Amount or All- Cash Payment in the Bullish and Bearish ETFs include the accumulated gains/losses from the derivative positions. This feature provides the advantage that it facilitates the orderly creations and redemptions in the ETF marketplace.
  • Figure 7 illustrates the components of a generic computing system connected to a general purpose electronic network 10, such as a computer network.
  • the computer network can be a virtual private network or a public network, such as the Internet.
  • the computer system 12 includes a central processing unit (CPU) 14 connected to a system memory 18.
  • the system memory 18 typically contains an operating system 16, a BIOS driver 22, and application programs 20.
  • the computer system 12 contains input devices 24 such as a mouse or a keyboard 32, and output devices such as a printer 30 and a display monitor 28, and a permanent data store, such as a database 21.
  • the computer system generally includes a communications interface 26, such as an Ethernet card, to communicate to the electronic network 10.
  • FIG. 13 A Other computer systems 13 and 13 A also connect to the electronic network 10 which can be implemented as a Wide Area Network (WAN) or as an internetwork, such as the Internet.
  • WAN Wide Area Network
  • FIG. 13 A Such a computer system 12 can be used to implement the third party processing system discussed herein including programmed code that implements the logic discussed herein with respect to figures 1-6.
  • One skilled in the art would recognize that such a computing system maybe logically configured and programmed to perform the steps to calculate the IIV as detailed in Figure 4, implement the HV file format as disclosed in Figures 1-6, perform the functions at each of the nodes (authorized participant 500, distributor 510, or fund creation/redemption entity 540) shown in Figures 4 and 5, and perform the exemplary balancing amount calculations shown in Figure 6 at the fund creation/redemption entity 540.
  • embodiments within the scope of the present invention include program products comprising computer-readable media for carrying or having computer-executable instructions or data structures stored thereon.
  • Such computer- readable media can be any available media which can be accessed by a general purpose or special purpose computer.
  • Such computer-readable media can comprise RAM, ROM, EPROM 5 EEPROM, CD-ROM or other optical disk storage, magnetic disk storage or other magnetic storage devices, or any other medium which can be used to carry or store desired program code in the form of computer-executable instructions or data structures and which can be accessed by a general purpose or special purpose computer.
  • Computer- executable instructions comprise, for example, instructions and data which cause a general purpose computer, special purpose computer, or special purpose processing device to perform a certain function or group of functions.
  • the invention is described in the general context of method steps which may be implemented in one embodiment by a program product including computer- executable instructions, such as program code, executed by computers in networked environments.
  • program code include routines, programs, objects, components, data structures, etc. that perform particular tasks or implement particular abstract data types.
  • Computer-executable instructions, associated data structures, and program modules represent examples of program code for executing steps of the methods disclosed herein.
  • the particular sequence of such executable instructions or associated data structures represent examples of corresponding acts for implementing the functions described in such steps.
  • the present invention in some embodiments, may be operated in a networked environment using logical connections to one or more remote computers having processors.
  • Logical connections may include a local area network (LAN) and a wide area network (WAN) that are presented here by way of example and not limitation.
  • LAN local area network
  • WAN wide area network
  • Such networking environments are commonplace in office-wide or enterprise-wide computer networks, intranets and the Internet.
  • Those skilled in the art will appreciate that such network computing environments will typically encompass many types of computer system configurations, including personal computers, handheld devices, multi-processor systems, microprocessor-based or programmable consumer electronics, network PCs, minicomputers, mainframe computers, and the like.
  • the invention may also be practiced in distributed computing environments where tasks are performed by local and remote processing devices that are linked (either by hardwired links, wireless links, or by a combination of hardwired or wireless links) through a communications network.
  • program modules may be located in both local and remote memory storage devices.

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Abstract

L'invention porte sur un procédé, un système et un logiciel, informatisés de calcul et d'utilisation à des fins d'arbitrage de la valeur intrajournalière indicative de fonds cotés en bourse haussiers et baissiers à effet de levier, qui effectuent les opérations suivantes: calcul des gains et pertes à la valeur du marché d'au moins un produit dérivé, et récupération des gains ou pertes accumulées du ou des produits dérivés et d'autres montants équivalents en cash. La valeur intrajournalière indicative des fonds cotés en bourse se détermine en ajoutant: la valeur intrajournalière calculée de tous les titres participatifs (uniquement applicable aux fonds cotés en bourse haussiers); plus les pertes ou gains accumulés; plus les gains à la valeur du marché d'au moins un produit dérivé; plus les autres montants équivalents en cash. La valeur intrajournalière ainsi déterminée des fonds cotés en bourse est utilisée par une partie à des fins d'arbitrage.
PCT/US2006/012717 2005-04-06 2006-04-06 Methode et systeme de calcul de la valeur intrajournaliere indicative de fonds cotes en bourse haussiers et baissiers a effet de levier WO2006108062A2 (fr)

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EP06749368A EP1877974A4 (fr) 2005-04-06 2006-04-06 Methode et systeme de calcul de la valeur intrajournaliere indicative de fonds cotes en bourse haussiers et baissiers a effet de levier
JP2008505498A JP5389437B2 (ja) 2005-04-06 2006-04-06 レバレッジドブル型およびベア型上場投資信託の日中の指標的価値を計算するための方法およびシステム
CA2604181A CA2604181C (fr) 2005-04-06 2006-04-06 Methode et systeme de calcul de la valeur intrajournaliere indicative de fonds cotes en bourse haussiers et baissiers a effet de levier
IL186416A IL186416A0 (en) 2005-04-06 2007-10-07 Method and system for calculating an intraday indicative value of leveraged bullish and bearish exchange traded funds

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US66860105P 2005-04-06 2005-04-06
US60/668,601 2005-04-06
US71998505P 2005-09-26 2005-09-26
US60/719,985 2005-09-26
US11/397,902 2006-04-05
US11/397,902 US8041625B2 (en) 2005-04-06 2006-04-05 Method and system for calculating an intraday indicative value of leveraged bullish and bearish exchange traded funds

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SG2014014765A (en) 2014-09-26
US8452692B2 (en) 2013-05-28
US20120078774A1 (en) 2012-03-29
WO2006108062A3 (fr) 2007-11-15
EP1877974A4 (fr) 2009-11-11
US20140201053A1 (en) 2014-07-17
CA2604181C (fr) 2018-02-06
US20120078773A1 (en) 2012-03-29
US20140289095A1 (en) 2014-09-25
US8326740B2 (en) 2012-12-04
JP2008536222A (ja) 2008-09-04
JP5389437B2 (ja) 2014-01-15
CA2604181A1 (fr) 2006-10-12
SG161225A1 (en) 2010-05-27
SG10201703871XA (en) 2017-06-29
US8788403B1 (en) 2014-07-22
SG194389A1 (en) 2013-11-29
US20060253376A1 (en) 2006-11-09
IL186416A0 (en) 2008-04-13
SG194390A1 (en) 2013-11-29
SG194391A1 (en) 2013-11-29
US20130246249A1 (en) 2013-09-19
US8595129B2 (en) 2013-11-26
EP1877974A2 (fr) 2008-01-16

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